Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0652
Annualized Std Dev 0.3324
Annualized Sharpe (Rf=0%) 0.1960

Row

Daily Return Statistics

Close
Observations 4842.0000
NAs 1.0000
Minimum -0.1947
Quartile 1 -0.0098
Median 0.0013
Arithmetic Mean 0.0005
Geometric Mean 0.0003
Quartile 3 0.0109
Maximum 0.2625
SE Mean 0.0003
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0011
Variance 0.0004
Stdev 0.0209
Skewness -0.0622
Kurtosis 13.2204

Downside Risk

Close
Semi Deviation 0.0151
Gain Deviation 0.0147
Loss Deviation 0.0160
Downside Deviation (MAR=210%) 0.0194
Downside Deviation (Rf=0%) 0.0149
Downside Deviation (0%) 0.0149
Maximum Drawdown 0.7437
Historical VaR (95%) -0.0314
Historical ES (95%) -0.0488
Modified VaR (95%) -0.0288
Modified ES (95%) -0.0288
From Trough To Depth Length To Trough Recovery
2008-05-20 2020-03-23 NA -0.7437 3232 2981 NA
2002-04-18 2002-09-30 2003-12-01 -0.4199 390 101 289
2006-05-10 2006-06-13 2006-11-29 -0.2984 142 24 118
2004-04-06 2004-05-10 2004-09-16 -0.2276 113 24 89
2007-07-24 2007-08-16 2007-09-26 -0.2225 46 18 28

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2001 NA NA NA NA NA NA NA NA NA 1.5 0.2 -1.3 0.3
2002 0.9 1.9 1.4 -0.4 -2.5 -2.7 -1.7 0.3 2.7 0.8 2.2 -0.2 2.5
2003 0.6 0.6 1.1 -0.1 0.8 1.3 -1.5 0.3 2.6 -0.5 3.2 -0.4 8.2
2004 -0.4 3.3 1.8 0.1 -0.4 0.4 0.8 -0.1 2.4 0.8 1.6 0.3 10.9
2005 1.4 -1.3 1.1 1.5 1 0.5 1.9 1.3 0.9 1.1 3.3 -0.3 13.1
2006 -0.4 2.8 0 0.7 3 1.4 -1.4 2.1 -0.1 0.3 -1.2 0.4 7.7
2007 1 -1.1 0 0.1 3.2 0.2 -0.9 3.5 4 -2.7 1.5 -1.6 7.2
2008 1.7 -4.6 3.8 1.3 1 -2.2 -2.5 -1 -1.2 -1.1 -9.8 1.9 -12.6
2009 -1 -1.6 3.6 3.4 4 1 0.3 -2.9 -2.6 -4.6 2.5 0.2 1.8
2010 3.6 1 1.8 -0.9 -0.5 1.1 0.8 3.5 1 0.9 1.9 0.7 15.8
2011 2.4 -1.3 1.5 1.5 -2.1 1.4 0.2 0.7 -3.4 -2.9 0.4 0.5 -1.3
2012 2.3 1.8 0 0.7 -2.4 4.5 -0.3 0.6 0.9 1.5 -0.5 1.2 10.7
2013 0.8 0.1 -0.9 -1.5 -1.5 0.3 1.7 0.2 1.5 -0.4 0.7 0.8 1.8
2014 -0.6 -1.1 0.5 0.1 -2.1 0.5 0.2 1.8 -3 0.8 -3.3 -0.3 -6.5
2015 -3.4 0.6 3.1 0.3 0.1 -1.4 1.4 -3.8 0 0.1 1 -0.1 -2.3
2016 0.1 4.2 1 0.9 1.2 0.8 -1.7 0.4 0.3 -3 -3.7 -1 -0.8
2017 0.7 2.7 -0.4 0.7 -0.2 0.8 0.6 1.4 0.9 -0.4 1 0.6 8.7
2018 0.8 0 2.6 -1.4 0.3 0.7 -1.1 1.6 0.5 3 -0.3 0.4 7.3
2019 -0.3 -1.1 1.7 -1.7 -0.4 0.5 -1.5 1.5 -0.9 1.9 -0.2 0.2 -0.4
2020 -2.3 0.3 -4.8 -4.1 2.8 2.2 -2.7 3.8 -0.5 -1.2 5.1 -0.5 -2.6
2021 2.7 1.1 1.2 NA NA NA NA NA NA NA NA NA 5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2001-10-26  8.32 SPY    110. -0.0023   0.0277   0.0787  -0.0635   -0.212       NA       NA <NA>     NA    NA       NA
2 2001-10-29  8.3  SPY    107. -0.026   -0.0185   0.0288  -0.0978   -0.235       NA       NA <NA>     NA    NA       NA
3 2001-10-31  8.1  SPY    106. -0.0034  -0.026    0.0021  -0.124    -0.224       NA       NA <NA>     NA    NA       NA
4 2001-11-01  8.22 SPY    109.  0.0256  -0.0186   0.0108  -0.102    -0.206       NA       NA <NA>     NA    NA       NA
5 2001-11-02  8.28 SPY    109.  0.0068  -0.0097   0.0168  -0.0997   -0.216       NA       NA <NA>     NA    NA       NA
6 2001-11-06  8.59 SPY    112.  0.0155   0.0588   0.0551  -0.0833   -0.214       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart